English, Article, Journal or magazine article edition: TEMPORAL AGGREGATION EFFECTS IN CHOOSING THE OPTIMAL LAG ORDER IN STABLE ARMA MODELS. SOME MONTE CARLO RESULTS. Dikaios Tserkezos; Maria Nikoloudaki

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/76796
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • TEMPORAL AGGREGATION EFFECTS IN CHOOSING THE OPTIMAL LAG ORDER IN STABLE ARMA MODELS. SOME MONTE CARLO RESULTS.
Author
  • Dikaios Tserkezos
  • Maria Nikoloudaki
Physical Description
  • preprint
Notes
  • A crucial aspect of empirical research based on ARIMA(p,q) model is the choice of the appropriate lag order. Several criteria have been used in order to identify the appropriate order of a ARIMA(p,q) process. In this paper we investigate the effects of using a variation of selection criteria under different temporal aggregation levels. We don¢t spend our attention in determining the appropriate order but on the effects of using the above selection criteria on the dynamic characteristics (impulse responses) and the forecasting properties of the ARIMA(p,q) process. The conducted Monte Carlo simulation experiments show that the use of temporally aggregated data can affect seriously the impulse responses and the forecasting properties of the ARIMA model.
  • Stable ARMA process, temporal aggregation and stochastic simulation
  • RePEc:crt:wpaper:0822
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment